This XBee is plugged into a [url="http://www.sparkfun.com/commerce/product_info.php?products_id=9132"]XBee Explorer Regulated[/url].
This Explorer takes care of supplying the XBee the required 3.3V.
Current setup (XBee, Explorer, Motion sensor) uses 40 mA.

In my first setup i used 4 x AA batteries and a LM7805 voltage regulator to provide 5V to the motion sensor and Explorer.
However, after around 16 hours the output voltage of the 4 AA batteries started to reach 5.5V and i think the LM7805 becomes unstable at that point, cause i see the XBee sending motion events even when there's no motion. Now i know a LM7805 needs more then 5.5V...

My questions are:

- Is using a 9V battery a better idea? it has much less mAh (580 vs 2850) then AA which will decrease time to switch batteries.
- Wouldnt it be better to get rid of the Explorer regulated, which is only needed for the 5V > 3.3V voltage regulation. This will only add more loss, right?

So actually i would need a voltage regulator that can provide me both 5V and 3.3V with minimal losses.
How can i do that? What's the best way?

Cannot advice on the best regulator, but I think the 7805 series are not very efficient.
Can those Xbee modules be put into sleep mode too?
Thats also an important energy saver, look here for more info (for JeeNodes) not exactly matching your setup, but useful info I think.
http://talk.jeelabs.net/topic/32